Goal achieving probabilities of cone‐constrained mean‐variance portfolios

In this paper, we establish closed‐form formulas for key probabilistic properties of the cone‐constrained optimal mean‐variance strategy, in a continuous market model driven by a multidimensional Brownian motion and deterministic coefficients. In particular, we compute the probability to obtain to a point, during the investment horizon, where the accumulated wealth is large enough to be fully reinvested in the money market, and safely grow there to meet the investor's financial goal at terminal time. We conclude that the result of Li and Zhou [Ann. Appl. Prob., v.16, pp.1751–1763, (2006)] in the unconstrained case carries over when conic constraints are present: the former probability is lower bounded by 80% no matter the market coefficients, trading constraints, and investment goal. We also compute the expected terminal wealth given that the investor's goal is underachieved, for both the mean‐variance strategy and the aforementioned hybrid strategy where transfer to the money market occurs if it allows to safely achieve the goal. The former probabilities and expectations are also provided in the case where all risky assets held are liquidated if financial distress is encountered. These results provide investors with novel practical tools to support portfolio decision‐making and analysis. Copyright © 2013 John Wiley & Sons, Ltd.     

Square-mean almost periodic solutions to some stochastic evolution equations

This paper concerns the square-mean almost periodic mild solutions to a class of abstract nonautonomous functional integro-differential stochastic evolution equations in a real separable Hilbert space. By using the so-called "Acquistapace–Terreni" conditions and the Banach fixed point theorem, we establish the existence, uniqueness and the asymptotical stability of square-mean almost periodic solutions to such nonautonomous stochastic differential equations. As an application, almost periodic solution to a concrete nonautonomous stochastic integro-differential equation is considered to illustrate the applicability of our abstract results.     

On the stability of two new two-step explicit methods for the numerical integration of second order initial value problem on a variable mesh

We present two novel two-step explicit methods for the numerical solution of the second order initial value problem on a variable mesh. In the case of a constant mesh the method is superstable in the sense of Chawla (1985). Numerical experimentation is provided to verify the stability analysis.     

Insider Trading in Convergent Markets

Optimal trading strategies are found for an insider who is trading in two convergent stocks and is bound by margin constraints.     

Homology of Centralizers

Given a group Π, we study the group homology of centralizers Π _g , g ? Π, and of their central quotients Π _g /〈 g〉. This study is motivated by the structure of the Hochschild and the cyclic homology of group algebras, and is based on Quillen's approach to the cyclic homology of algebras via algebra extensions. A method of computing the de Rham complex of a group algebra by means of a Gruenberg resolution is also developed.     

EXISTENCE OF STOCHASTIC EQUILIBRIUM WITH INCOMPLETE FINANCIAL MARKETS

This paper analyzes the aritrage-tree security markets and the general equilibrium ex-istence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to puraly financial securities. It isassume that trading takes place in the sequence of spot markets and futures markets for securi-ties payable in units of account. Unlimited short-selling in securities is allowed. Financial markets may be incomplete, some consumption streams may be impossible to obtain by any tradingstrategy. Securities may be individually precluded from trade at arbitrary states and dates. Thesecurity price process is arbitrage-free the dividend process if and only if there exists a stochaticstate price (present value) process : the present value of the security prices at every vertex isthe present value of their dividend and capital values over the set of immediate successors ; thecurrent value of each security at every vertex is the present value of its future dividend streamover all succeeding vertices. The existence of such an equilibrium is proved under the followingcondition: continuous, weakly convex, strictly monotone and complete preferences, strictlypositive endowmenta and dividends processes.     

最小偏差分析法在经济周期分析中的应用

利用最小偏差分析法,分析了我国GDP增长率的周期性特征,并对我国今后几年的GDP增长率进行了预测.分析的结果是:从1953—2006年,我国GDP增长率存在着7年左右的小周期,15年左右的中周期,19年左右的中长周期和28年左右的大周期,而且随着时间的推移,经济周期的波动幅度逐渐趋小,反映出经济增长的稳定性增强.预测的结果是:今后几年(2年或更长一段时间)我国GDP增长率应该保持在10%左右,波动的区间为[9%,11%].     

确定Lotka-Volterra生态系统模型高精度参数的研究

研究确定Lotka-Volterra生态系统模型的高精度参数估计问题.利用周期性,先对测量数据进行预处理;然后用三种不同的方法构造了误差函数,进行非线性最小二乘法参数估计;再用计算机仿真对其进行验证.结果表明该方法能够有效地解决高精度参数估计中消除测量数据误差的问题.     

A real options approach for entering the Internet securities trading businesses with start‐up time

This paper uses a real options approach to establish a new evaluation model under uncertainty of both the volume of Internet securities transactions and the total transaction volume of a securities firm. The proposed approach can assist securities firms in evaluating the optimal thresholds for entering the Internet securities trading business and withdrawing from the conventional securities trading business. This paper assumes that the annual number of Internet securities transactions and the total annual number of securities transactions both follow a geometric Brownian motion. Besides, this model considers a start‐up time to complete the entry project's procedure. Accordingly, a decision model based on the real options approach is introduced, and the closed form solutions for the optimal threshold values of the entry or withdrawal models are determined. The conclusions provide some valuable references to help strategic managers of securities firms in making decisions on entering the Internet securities trading business or withdrawing from the conventional trading business. Copyright © 2003 John Wiley & Sons, Ltd.     

On the strategic origin of Brownian motion in finance

This paper is concerned with the strategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information.  The model turns out to be a zero-sum repeated game with one-sided information, as introduced by Aumann and Maschler.  The stochastic evolution of the price system can be explicitly computed in the n times repeated case. As n grows to ∞, this process tends to a continuous time martingale related to a Brownian Motion.  This paper provides in this way an endogenous justification for the appearance of Brownian Motion in Finance theory. Received: February 2002